how to do vector autoregresion?
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Roger Wohlwend on 18 Sep 2014
If you possess the Econometrics toolbox then the main function is vgxvarx . There is extensive documention in Matlab help about vector autoregressive models. It will tell you what other functions you will need for estimating and assessing the quality of the models.
If do not have Econometrics toolbox then you have to estimate the models with OLS regression yourself.